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Quantitative Finance · Glosarium

Apa itu Prepayment, conditional prepayment rate, PSA benchmark?

Dikenal juga sebagai: prepayment · conditional prepayment rate · PSA benchmark

Definition 12.2 Markets II: Rates, FX and Credit · Bab 12 — Mortgages and Agencies

A prepayment is a repayment of mortgage principal ahead of the amortisation schedule: a sale of the house, a refinancing, a partial repayment, or a default bought out of the pool by the guarantor. The conditional prepayment rate (CPR) is the annualised fraction of the balance, after scheduled principal, prepaid in a month; the monthly fraction, the single monthly mortality, is SMM=1−(1−CPR)1/12\mathrm{SMM} = 1 - (1-\mathrm{CPR})^{1/12}. The PSA benchmark is a standard speed path: 100% PSA is a CPR of 0.2% in a loan’s first month, rising by 0.2% a month to 6% in its thirtieth and constant after; 200% PSA doubles every rate.

The PSA benchmark: annual prepayment rate by loan age, rising linearly for thirty months and flat after. Speeds are quoted as multiples of this path. Data: the chapter’s tutorial, from the definition in Ginnie Mae’s offering documents.
Figure 12.2. The PSA benchmark: annual prepayment rate by loan age, rising linearly for thirty months and flat after. Speeds are quoted as multiples of this path. Data: the chapter’s tutorial, from the definition in Ginnie Mae’s offering documents.

Contoh

Example 12.3 (A new pool)

USD 100 million of new thirty-year 6.5% loans back a 6% pass-through. The level monthly payment is USD 632 068; in the first month it contains USD 541 667 of interest and USD 90 401 of scheduled principal, and at 100% PSA (a CPR of 0.2%) USD 16 667 is prepaid. Investors receive USD 500 000 of interest, the 6% coupon, and all USD 107 068 of principal. The weighted average life, the average time to the return of a dollar of principal, is 19.6 years with no prepayment, 11.5 at 100% PSA and 5.8 at 300%.

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